Blender 2.8 Video editing - annotation
The annotation tool is an internal tool for the user, it is not for adding visual drawing to the rendered output.

In the VSE, you can add a scene strip, which means you can create a circle using geometry or a grease pencil object in the 3D view and add it to the VSE.

You can also add a single image to the VSE. So you can save a circle as a PNG with a transparent background and add that to the VSE.